I feel like I made a mistake purchasing the game.

I am roughly 4 hours in and I am utterly at loss. I have no idea what to do.
I defeated the thugs at the inn. I (barely) defeated my rival and defeated kovolds. I got the wedding ring via persuasion.

Then . . . I haveg no idea what to do.
Alchemist told me to go to fight spiders to get a fruit or something. After multiple MULTIPLE attempts, I just gave up fighting the spiders. I equipped front liners with torches. I tried to seperate the groups of spiders, but the game seems to be scripted. I bought flasks. My party CAN'T do it. I remembered that I can hire a mercenary. Apparently I don't have enough money. Via online I realize I should have purchased a mercenary at level 1 but how the fuck could have I knowned that?

I basically give up on spiders and meander around. I find a dragon on a middle of nowhere. Dragon demolishes my party easily. I give up without trying.

There is a hunting ground. My entire party runs away from fear. I give up and look for a different path.

A party ambushes me and wants to enslave me. I fight. My party gets demolished.
Around 5~6 attempt, I realize I should target the wizard that summons dogs first. At attempt 20ish, I basically have defeated all but one fighter and I have 3 characters. I thought I could FINALLY move on. Then literally all my attacks misses. A single fighter kills my remaining party without a single miss.

Am I doing something wrong? Is there some obvious place that I should grind my party on?

I see 3 alternatives for you:

1. Analyze the combat log and try to understand why your party is loosing. Read in-game Encyclopedia that describes the basics of the game mechanics. One of the ways to access the Encyclopedia is to open the inventory screen (press "Inventory" button or "I") then on the top of the screen open the tab "Encyclopedia".
2. Drop the difficulty until the game does not feel frustrating.
3. Play something else.

I guess I should look at the combat logs more.
I am also wee bit confused on equipments. For example, I've seen Oleg sell lesser weapon (in terms of damage) for higher price. Am I missing something? Is there higher attacks/seconds on certain weapon?

Just read full item descriptions by the right mouse button. I think it is said somewhere about masterwork weapons that their high quality adds +1 to attack, but not to damage.
And remember to have fun! Some people enjoy such games, some don't. It's a matter of personal preference.

Ah . . so it adds to a dice roll NOT to damage. Ok

Pathfinder is like D&D 3.75, and D&D 3.5, already excellent, was too quite heavy in rules, and PF added many.

So, after the D&D 4 joke, the last D&D 5 is genious: simple while in the same spirit than DD3.5

Pathfinder, even complicated, was for some years the best D&D-like RPG, but now DD5 is the best.

So, what video games follow the DD5 rules? maybe you'll prefer them.

1. What difficulty are you playing on? Have you read the descriptions of the difficulties? This game doesn't fool around.
"Challenging" is actually ... challenging. "Hard" is REALLY hard.

2. Fangberry Cave is a n00b trap. It's the first place you get sent to, but you shouldn't go there until you are level 5 (I'd say). You need Area of Effect fire or acid to kill the Spider Swarms.

3. AC is king. You need at least one tank character that pushes AC as far as possible.

4. Go to the Ancient Tomb first. The fight there will make you want to kill yourself, but you get another companion in your group (if you can persuade him)

5. At Oleg's there should be woman inside - Anoriel Eight Eyes

If you don't level up before you meet her (you are still Level 1), you can recruit a mercenary for 500 Gold. That's incredibly useful. Basically you can create another character - one that is missing in your party.

When I was at your stage (played for about 4 hours) - I actually started a new game because of this (Was level 2 already and had no 2000 Gold for a merc - they become more expensive the higher level you are).
On my second attempt, I didn't level up until I got there and hired the merc for 500 gold. Then went to the Ancient Tomb and got another NPC for my party.

Then the game became playable :)

This is all great advice, that cave is way tough for a low level party. I'd do other things first, get a party that can spam some elemental damage, and go back at a higher level. I've played a Wizard and a Sorcerer, and brought Octavia (who will eventually get into Arcane Trickster) along as well. If you're spamming acid splash plus some low level fire stuff, you should be golden. I never go into Fangberry Cave without a full party of at least third level, but usually wait for level 4 or 5.

Here's a link to a guide that helped me quite a bit when I was new: https://www.gamerguides.com/pathfinder-kingmaker/guide/walkthrough/chapter-1-getting-started-in-the-outskirts/oleg-s-trading-post#g

Table of contents is on the left side and all the way at the end of the guide is a list of first chapter areas.

Finally, there are a couple of guides for character building I really like.
Roahin has a companion guide that keeps the lore mostly intact for each character; I especially like his second Valerie build if you're not playing a tank and need a Valerie who can do the job. Link: https://www.gog.com/forum/pathfinder_kingmaker/companion_builds/page1

If you're looking for some REALLY insane min/max builds, try InEffect; I tend not to love min/max stuff, but reading his stuff also teaches you about the game mechanics. Link: https://www.gog.com/forum/pathfinder_kingmaker/ineffects_guide_v2/page1

Those resources should be enough to start you out. A couple other pieces of advice is to set kingdom management to EASY and search for building advice.

Couple of kingdom management guides:

Nice overview: https://steamcommunity.com/sharedfiles/filedetails/?id=1534683229

This one has step-by-step building guides to the various early villages. https://steamcommunity.com/sharedfiles/filedetails/?id=1580642020

That should get you started for now. This game has a steep learning curve, but the first guide I mentioned really helps things out nicely. Once you get rolling, this game is extremely fun; don't quit before the miracle.

Apparently I missed an important area for grinding.

Mites vs Kobolds area . . I basically leveled up, I recruited another NPC, and explored more areas.
This allowed me to kick the ever living s*** out of tech league and raid their camp. I was so happy when I finally killed that slaver.

Last night I just killed Staglord and apparently now I have to 'manage' kingdom or something.
I am glad that I finally figured out the game . . but seriously I think the game would have been better without so many beginner's trap especially areas near the inn.

I take two approaches to the game, depending on the difficulty.
Normal, challenging Do mansion, go to Oleg's ofc-get a merc if u want(don't level up until AFTER you hire merc...it's cheaper), go get Harrim/whomever, thorn ford, abandoned hut, TotE-get Tristian, Technique League hideout-grab Octavia/Reggie, fire harrim. Then, Sycamore or Nettle to avoid being tired and get that out the way. Then proceed as the journal indicates.

Hard+ Turn off XP sharing/MC can hog the skill checks depending on what your MC is...trickery/athletics, etc. Do mansion, go to Oleg's ofc-get a merc if u want(don't level up until AFTER you hire merc...it's cheaper), go to Sycamore with a lesser party(ie. 3-4 party and grind, but dont go inside yet/do skill checks. Get Harrim...and follow this for the rest ...his builds rock!|:
https://docs.google.com/document/d/1VrTZa-l0aife1_Jxg59dgd3ow4ndFHKnR6520gKWBl0/edit

This is also the walkthrough I used for normal at the beginning when I first got the game:
https://www.neoseeker.com/pathfinder-kingmaker/walkthrough

Also, to educate yourself, analyze why In Effect chooses the builds, feats, skills, etc. It will help you make your own build later on.

You could also try to install the Turn-based combat mod, it turns the game way more tactical and having spellcasters in your party that can use spells like Grease, Pit trap and summoning spells is a game-changer because of how powerful reducing the amount of enemies actively trying to hit your team is.

I was able to beat some pretty tough enemies in the first two chapters with just Grease making them slip and be unable to do anything, then with some precise manuvering to avoid slipping my own team I just use them to erase the enemies, even trolls were no match.

This is the worst piece of advice for a new player I could have ever imagined. But I am not going to derail this thread by TB mod discussion.

Famgberry cave is a noob trap in the LAST room. To get fangberries, you scoot in, grab the berries in the first chamber and scoot right out again - back to the inn. Remember - You were asked for FRESH berries.

This should be sticked. That's sad this game is still a newby trap.